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Re: st: Calculating Hansen-Hodrick standard errors using Stata


From   Syed Basher <[email protected]>
To   [email protected]
Subject   Re: st: Calculating Hansen-Hodrick standard errors using Stata
Date   Sun, 6 Mar 2011 11:09:10 -0800 (PST)

Hi,

Perhaps nobody has written a code for HH standard errors in Stata. I googled, 
and came to know that it is rather easy to implement in:

RATS
http://www.estima.com/forum/viewtopic.php?f=13&t=924

and 

GAUSS
http://www.nd.edu/~nmark/book/gaussproc/gaussproc.htm  (see item # 8)

Hope you find these useful.

Syed Basher
Doha, Qatar.




----- Original Message ----
From: Khabara <[email protected]>
To: [email protected]
Sent: Sun, March 6, 2011 9:47:12 PM
Subject: st: Calculating Hansen-Hodrick standard errors using Stata

Dear all,

The topic was discussed on the forum before -
http://statalist.1588530.n2.nabble.com/st-Correction-for-overlapping-return-series-td4551946.html.
 

The suggested solution was to use Newey-West standard errors. However, as a
robustness check on my results, I would like to calculate both Newey-West &
Hansen-Hodrick (HH) standard errors (to re-calculate t-ratios, etc.) 

Therefore, I would be grateful if someone could suggest how I can calculate
HH st. errors using Stata? Just as the author of the initial thread, I deal
with yearly observations overlapping by 11 months, creating a MA (11) in
errors. 

Any suggestions will be much appreciated.

--
View this message in context: 
http://statalist.1588530.n2.nabble.com/Calculating-Hansen-Hodrick-standard-errors-using-Stata-tp6094922p6094922.html

Sent from the Statalist mailing list archive at Nabble.com.
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